[This message was posted by Mahesh Kumaraguru of <[EMAIL PROTECTED]> to the
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Hanno,
I do not think Test Request - Heartbeat would achieve what Citi is trying to do
with Ping In (PI) and Ping Out messages (PO). Test request and Heartbeat is
from FIX engine to FIX engine (sent to keep FIX Session alive when there is no
other traffic and Heartbeating is not in proper intervals), but from the
description in Serge's post states "used to measure round trip, end-to-end
latency time between Citi and its counterparties" by which I understand they
are trying to measure the round trip time from Application behind Citi's FIX
Engine to the Application behind counterparty's FIX engine.
Serge,
The only option I see is to modify the your FIX engine to accept ^35=PI^,
forward it to application and the application replies with ^35=PO^ and Citi
uses it to measure end-to-end latency.
Regards,
K. Mahesh
> Ok, sounds similar to what the test request message followed by a
> heartbeat message can accomplish. The field TestReqID lets you tie the
> two together. However, there are no additional application level fields
> in these messages, that could be a reason for using user-defined
> messages. Message types sound like "ping" and "pong". I would prefer
> people to come forward with extension requests for the standard messages
> but you can't force them.
>
> Regards, Hanno.
>
> > Hello Hanno,
> >
> > Thank you very much for your explanation. According to the
> > specification for Citi's FX e-Commerce, the offending messages ("PO",
> > "PI") are called "Application Ping" and used to measure round trip,
> > end-to-end latency time between Citi and its counterparties. "PO" is
> > sent by Citi's servers and we are expected to reply with "PI"
> > immediately.
> >
> > Regards, Serge
> >
> > > Your understanding is correct, all user-defined messages are to be
> > > pre- fixed with "U", i.e. "UPO" and "UPI" would be fine. A standard
> > > FIX engine would probably respond with a Reject message with the
> > > field SessionRejectReason set to 11=Invalid MsgType. FIX 4.4 does
> > > not support an alternate transport so that the FIX engine must have
> > > been tweaked to get such a message through to the application layer.
> > >
> > > What is the content of these messages and are they sent to you or
> > > expected from you? Are they similar to one of the standard FIX
> > > messages or outright custom?
> > >
> > > Regards, Hanno.
> > >
> > > > Hi there,
> > > >
> > > > I have a question regarding proper use of FIX user-defined message
> > > > types. As I understand it, if certain version of FIX protocol
> > > > doesn't contain necessary message type, it can be added as user-
> > > > defined message with MsgType field starting with "U".
> > > >
> > > > We are looking at some specification from Citi that claims to
> > > > support FIX 4.4 and it has two messages defined by Citi, which use
> > > > "PO" and "PI" as MsgType.
> > > >
> > > > Is it a normal practice? If not, how come one of the big names in
> > > > this industry does not follow the rules?
> > > >
> > > > Thanks, Serge
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